Optimal asset allocation under search frictions and stochastic interest rate
Year of publication: |
2023
|
---|---|
Authors: | Wang, Ning ; Zhu, Song-Ping ; Elliott, Robert J. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 6, p. 1019-1033
|
Subject: | Expected utility maximization | Finite difference method | Optimal asset allocation | Search frictions | Stochastic control | Stochastic interest rate | Portfolio-Management | Portfolio selection | Zins | Interest rate | Suchtheorie | Search theory | Stochastischer Prozess | Stochastic process |
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